A bi-weekly challenge from Andre Mirabelli & Opturo
How does an attribution modeler address the following challenge?
Karnosky and Singer provided an ex post decision attribution methodology that attributed active returns to currency decisions in an investment process that could actually be carried out. Are there ever valid reasons, in an ex post decision attribution process, for attributing active returns to currency-related properties that can never be implemented as steps in an actual investment process?
A bi-weekly challenge from Andre Mirabelli & Opturo
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A bi-weekly challenge from Andre Mirabelli & Opturo
If you use “Purchases in the Basis Dietz”, how do you approach the following scenario?The cash in a portfolio starts the day with a small gain and then the portfolio uses all of the starting cash and half of that small cash gain (“sells cash”) to purchase a non-cash instrument. Thus, nothing ever goes short.…
A bi-weekly challenge from Andre Mirabelli & Opturo
What if I invested by first doing an allocation among countries and then an allocation among sectors within countries, could I evaluate my sector allocation using a single-allocation Brinson model?See the paper and Excel example in Opturo's newsroom.
The Annualization Of Attribution
For Carl Bacon's Advanced Portfolio Attribution Analysis--Andre Mirabelli, Ph.D.--Annualization is necessary whenever one needs a temporally intensive property that can be used to compare the values of a temporally extensive property describing periods of different duration...
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